Browsing by Author "Ilalan, D."

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Citation - Scopus: 8
A Poisson process with random intensity for modeling financial stability
(Ediciones Doyma, S.L., 2016) Ilalan, D.; İlalan, Deniz; Bankacılık ve Finans
Stock market crashes are hazardous for financial stability and usually modeled via Poisson processes having a predetermined fixed intensity. This study uses a more general framework by allowing the intensity to be random in order to model rare events called the “unpredictable unknowns”. Three stock indices, namely Japan Nikkei 225, US Dow Jones Industrial Average and Turkish BIST 100 are analyzed. Simulation results indicate that in stable markets, we encounter fewer unpredictable unknowns compared to unstable ones. However, it is also shown that stable markets are more prone to severe financial crises. © 2015 Asociación Española de Finanzas
Citation - Scopus: 1
How stock markets become desensitized to terror
(Emerald Group Publishing Ltd., 2017) Ilalan, D.; İlalan, Deniz; Bankacılık ve Finans
Purpose-A widely accepted belief indicates that terror activities have negative impact on stock markets. Contrary to numerous empirical studies, the purpose of this paper is to consider this issue from another point of view in the sense that markets can become desensitized to terror. Design/methodology/approach-Here, instead of directly analyzing the existing data, the stochastic nature of the events is taken into consideration. Findings-The author compares three countries and found out that the correlation between terror and stock markets is almost nil when terror events become a commonplace. Originality/value-This paper applies mean reverting stochastic processes to terror incidents and brings out interesting results. © Emerald Publishing Limited.